Associate Director, GRA - Market Risk Analytics
RBC — TORONTO, Ontario, Canada
Posted 2026-10-13
Job Description What is the opportunity? As Associate Director, you will take a leading role and undertake analysis to design, develop, and provide ongoing maintenance of the quantitative models used in internal risk management and regulatory capital reporting. In this role you will support capital markets trading and investment portfolios across different asset class. This includes working with the business and the broader risk teams to develop Value-at-Risk (VaR) models, which facilitates the bank’s effective risk management and governance on market and counterparty credit risk model usage. What will you do? Develop Value-at-Risk (VaR) models for various financial instruments. Develop computer program to implement the methodology or test methodology soundness. Remediate model issues from internal validation, internal audit as well as external regulators. Create documentation for the risk models that will satisfy the regulatory expectations (for example, SR-11-7 guidelines published by the Fed). Develop and implement performance monitoring framework for VaR models. Conduct model performance monitoring on a regular basis. Summarize the monitoring results into documentation and pres